Multiple stochastic integrals: Projection and iteration

DOI10.1007/BF00542535MaRDI QIDQ3959886zbMATH OpenFDO

Authors Bruce Hajek, Eugene Wong

Publication date 1983

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00542535

zbMATH Keywords

multiple stochastic integralsmultiple stochastic integrals as iterated integralsprojecting a stochastic integralWiener functionals

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)

Cites work

• A general likelihood-ratio formula for random signals in Gaussian noise
• scientific article; zbMATH DE number 3711121 (Why is no real title available?)
• Likelihood ratios and transformation of probability associated with two-parameter Wiener processes
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• Multiple Wiener integral
• Repr�sentation des martingales de carr� integrable relative aux processus de Wiener et de Poisson � n param�tres
• Stochastic integral
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals

Cited in

(4)

• Skorohod and Stratonovich line integrals in the plane
• Generalized holomorphic processes and differentiability
• Generalized multiple stochastic integrals and the representation of wiener functionals
• The theory of Wiener-Itô integrals in vector-valued Gaussian stationary random fields. II

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